Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099003 | Journal of Economic Dynamics and Control | 2010 | 10 Pages |
Abstract
This note describes how the incomplete markets model with aggregate uncertainty in Den Haan et al. [Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, this issue] is solved using standard quadrature and projection methods. This is made possible by linking the aggregate state variables to a parameterized density that describes the cross-sectional distribution. A simulation procedure is used to find the best shape of the density within the class of approximating densities considered. This note compares several simulation procedures in which there is-as in the model-no cross-sectional sampling variation.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Yann Algan, Olivier Allais, Wouter J. Den Haan,